|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
MORTGAGE-BACKED SECURITIES – 62.6%
|
||||
|
|
Collateralized Mortgage Obligations – 41.6%
|
|
|
|
|
|
Banc of America Mortgage Trust
|
|
|
|
|
$27,308
|
Series 2002-L, Class 1A1 (a)
|
3.19
%
|
12/25/32
|
$23,786
|
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
|
30,871
|
Series 2005-6, Class A1, US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 2.10% (b)
|
5.75
%
|
09/25/35
|
31,377
|
|
2,367
|
Series 2009-10, Class 1A1 (a) (c)
|
5.26
%
|
09/25/33
|
2,360
|
|
640,000
|
Series 2020-EXP1, Class M1 (a) (c)
|
4.47
%
|
05/25/60
|
574,173
|
|
|
COLT Mortgage Loan Trust
|
|
|
|
|
500,000
|
Series 2021-HX1, Class B3A (a) (c)
|
4.11
%
|
10/25/66
|
369,109
|
|
|
Connecticut Avenue Securities Trust
|
|
|
|
|
1,000,000
|
Series 2024-R02, Class 1B2, 30 Day Average SOFR +
3.70% (b) (c)
|
7.32
%
|
02/25/44
|
1,053,424
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust
|
|
|
|
|
110,750
|
Series 2006-HYB5, Class 3A1A (a)
|
4.61
%
|
09/20/36
|
98,628
|
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
637,894
|
Series 2017-FHA1, Class A1 (c)
|
3.25
%
|
04/25/47
|
595,521
|
|
|
Fidelis Mortgage Trust
|
|
|
|
|
1,000,000
|
Series 2025-RTL1, Class B (c)
|
8.95
%
|
02/27/40
|
1,002,348
|
|
|
Galton Funding Mortgage Trust
|
|
|
|
|
245,123
|
Series 2018-2, Class B2 (c)
|
4.51
%
|
10/25/58
|
234,510
|
|
|
GSR Mortgage Loan Trust
|
|
|
|
|
1,039
|
Series 2003-10, Class 1A12 (a)
|
5.29
%
|
10/25/33
|
994
|
|
72,293
|
Series 2005-AR1, Class 4A1 (a)
|
3.66
%
|
01/25/35
|
60,219
|
|
|
JP Morgan Mortgage Trust
|
|
|
|
|
16,173
|
Series 2006-A2, Class 5A3 (a)
|
6.30
%
|
11/25/33
|
16,121
|
|
540,000
|
Series 2022-DSC1, Class M1 (c)
|
4.95
%
|
01/25/63
|
488,360
|
|
|
MASTR Alternative Loan Trust
|
|
|
|
|
3,511,308
|
Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA +
0.35% (b)
|
4.19
%
|
03/25/36
|
276,456
|
|
|
Onslow Bay Mortgage Loan Trust
|
|
|
|
|
476,225
|
Series 2021-NQM4, Class A1 (c)
|
1.96
%
|
10/25/61
|
402,861
|
|
|
PRET
|
|
|
|
|
1,000,000
|
Series 2026-NPL4, Class A2, steps up to 10.14% on
03/25/2030 (c) (d)
|
7.14
%
|
04/25/56
|
1,001,213
|
|
|
PRET Trust
|
|
|
|
|
500,000
|
Series 2024-RPL1, Class M2 (a) (c)
|
3.96
%
|
10/25/63
|
369,961
|
|
|
PRKCM Trust
|
|
|
|
|
1,000,000
|
Series 2021-AFC1, Class B2 (c)
|
3.95
%
|
08/25/56
|
678,123
|
|
|
PRPM
|
|
|
|
|
1,000,000
|
Series 2025-3, Class A2, steps up to 12.07% on 5/01/2028 (c) (d)
|
9.07
%
|
05/25/30
|
1,002,125
|
|
|
PRPM LLC
|
|
|
|
|
1,000,000
|
Series 2025-6, Class M1 (c)
|
10.56
%
|
08/25/28
|
994,622
|
|
1,250,000
|
Series 2025-RPL4, Class M1A, steps up to 4.00% on
5/01/2029 (c) (d)
|
3.00
%
|
05/25/55
|
1,146,156
|
|
1,050,000
|
Series 2026-RCF2, Class M1 (c)
|
5.50
%
|
03/25/56
|
1,016,483
|
|
|
PRPM Trust
|
|
|
|
|
725,000
|
Series 2024-NQM1, Class M1 (a) (c)
|
6.71
%
|
12/25/68
|
726,960
|
|
|
RCO IX Mortgage LLC
|
|
|
|
|
414,668
|
Series 2026-2, Class A1, steps up to 8.76% on 05/25/2029 (c) (d)
|
5.76
%
|
05/25/31
|
413,290
|
|
400,000
|
Series 2026-2, Class M1, steps up to 13.07% on
05/25/2029 (c) (d)
|
9.08
%
|
05/25/31
|
397,890
|
|
|
Redwood Funding Trust
|
|
|
|
|
989,937
|
Series 2025-3, Class A (c)
|
6.23
%
|
12/27/56
|
998,381
|
|
255,000
|
Series 2025-3, Class B (c)
|
7.75
%
|
12/27/56
|
256,676
|
|
915,525
|
Series 2026-1, Class A, steps up to 9.00% on 2/27/2028 (c) (d)
|
5.93
%
|
09/27/56
|
914,485
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|
|
|
|
Redwood Funding Trust (Continued)
|
|
|
|
|
$483,958
|
Series 2026-2, Class A (c)
|
6.26
%
|
11/27/56
|
$486,581
|
|
290,000
|
Series 2026-2, Class B (c)
|
8.00
%
|
11/27/56
|
289,817
|
|
500,000
|
Series 2026-RR1, Class A1, steps up to 9.55% on
07/27/2028 (c) (d) (e)
|
6.63
%
|
07/27/30
|
499,993
|
|
500,000
|
Series 2026-RR1, Class A2, steps up to 11.28% on
07/27/2028 (c) (d) (e)
|
7.99
%
|
07/27/30
|
499,999
|
|
|
Residential Accredit Loans, Inc.
|
|
|
|
|
64,115
|
Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA +
0.54% (b)
|
4.38
%
|
02/25/46
|
28,139
|
|
510,309
|
Series 2006-QS6, Class 1AV, IO (a)
|
0.76
%
|
06/25/36
|
13,595
|
|
|
Residential Asset Securitization Trust
|
|
|
|
|
14,535
|
Series 2004-A3, Class A7
|
5.25
%
|
06/25/34
|
13,878
|
|
|
Roc Mortgage Trust
|
|
|
|
|
687,018
|
Series 2021-RTL1, Class M (c)
|
6.68
%
|
08/25/26
|
676,965
|
|
|
Starwood Mortgage Residential Trust
|
|
|
|
|
694,754
|
Series 2022-3, Class A1 (c)
|
5.16
%
|
03/25/67
|
682,704
|
|
|
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates
|
|
|
|
|
266
|
Series 2001-SB1, Class A2
|
3.38
%
|
08/25/31
|
266
|
|
|
Towd Point Mortgage Trust
|
|
|
|
|
1,250,000
|
Series 2017-4, Class B4 (c)
|
3.64
%
|
06/25/57
|
954,941
|
|
|
Verus Securitization Trust
|
|
|
|
|
533,000
|
Series 2021-5, Class B2 (c)
|
3.94
%
|
09/25/66
|
399,474
|
|
425,000
|
Series 2021-R2, Class B2 (c)
|
4.26
%
|
02/25/64
|
350,004
|
|
620,942
|
Series 2022-1, Class A1 (c)
|
3.72
%
|
01/25/67
|
579,731
|
|
1,000,000
|
Series 2025-INV1, Class B2 (c)
|
6.95
%
|
02/25/70
|
1,007,219
|
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates
|
|
|
|
|
8,174
|
Series 2007-5, Class A11, (1 Mo. CME Term SOFR + CSA) x -6
+ 39.48% (f)
|
16.45
%
|
06/25/37
|
9,066
|
|
|
WinWater Mortgage Loan Trust
|
|
|
|
|
152,114
|
Series 2015-3, Class B1 (a) (c)
|
3.81
%
|
03/20/45
|
139,606
|
|
|
|
21,778,590
|
||
|
|
Commercial Mortgage-Backed Securities – 21.0%
|
|
|
|
|
|
BANK
|
|
|
|
|
20,022,856
|
Series 2017-BNK7, Class XA, IO (a)
|
0.66
%
|
09/15/60
|
90,051
|
|
11,288,106
|
Series 2019-BN19, Class XA, IO (a)
|
0.93
%
|
08/15/61
|
256,238
|
|
8,809,158
|
Series 2019-BN23, Class XA, IO (a)
|
0.68
%
|
12/15/52
|
163,389
|
|
5,130,492
|
Series 2020-BN26, Class XA, IO (a)
|
1.19
%
|
03/15/63
|
155,165
|
|
|
BBCMS Mortgage Trust
|
|
|
|
|
1,000,000
|
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (b) (c)
|
4.60
%
|
03/15/37
|
946,639
|
|
|
Benchmark Mortgage Trust
|
|
|
|
|
20,199,955
|
Series 2018-B5, Class XA, IO (a)
|
0.45
%
|
07/15/51
|
137,590
|
|
|
BWAY Trust
|
|
|
|
|
600,000
|
Series 2025-1535, Class B (a) (c)
|
7.46
%
|
05/05/42
|
617,586
|
|
|
BX Trust
|
|
|
|
|
1,000,000
|
Series 2025-DELC, Class A, 1 Mo. CME Term SOFR +
1.55% (b) (c)
|
5.23
%
|
12/15/42
|
1,003,930
|
|
|
Cali 2024
|
|
|
|
|
350,000
|
Series 2024-Sun, Class D, 1 Mo. CME Term SOFR +
3.63% (b) (c)
|
7.30
%
|
07/15/41
|
349,437
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|
|
|
|
CCRE Commercial Mortgage Securities L.P.
|
|
|
|
|
$6,936,271
|
CFCRE Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2017-C8, Class XA, IO (a)
|
1.43
%
|
06/15/50
|
$29,949
|
|
|
CD Commercial Mortgage Trust
|
|
|
|
|
8,188,812
|
Series 2018-CD7, Class XA, IO (a)
|
0.63
%
|
08/15/51
|
86,106
|
|
|
COMM Mortgage Trust
|
|
|
|
|
3,829,000
|
Series 2015-CCRE26, Class XD, IO (a) (c)
|
1.43
%
|
10/10/48
|
38
|
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
515,582
|
Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR +
3.94% (b) (g)
|
7.62
%
|
01/09/25
|
54,136
|
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
|
5,744,492
|
Series 2020-C19, Class XA, IO (a)
|
1.08
%
|
03/15/53
|
166,999
|
|
|
FIVE Mortgage Trust
|
|
|
|
|
22,201,254
|
Series 2023-V1, Class XA, IO (h)
|
0.65
%
|
02/10/56
|
159,265
|
|
|
Great Wolf Trust
|
|
|
|
|
1,000,000
|
Series 2024-WOLF, Class E, 1 Mo. CME Term SOFR +
3.64% (b) (c)
|
7.32
%
|
03/15/39
|
1,007,950
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
15,720,369
|
Series 2016-JP4, Class XA, IO (a)
|
0.64
%
|
12/15/49
|
157
|
|
242,271
|
Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA +
1.21% (b) (c)
|
4.93
%
|
06/15/35
|
158,688
|
|
|
Life Mortgage Trust
|
|
|
|
|
280,000
|
Series 2021-BMR, Class D, 1 Mo. CME Term SOFR + CSA +
1.40% (b) (c)
|
5.19
%
|
03/15/38
|
268,954
|
|
|
LSTAR Commercial Mortgage Trust
|
|
|
|
|
16,844,933
|
Series 2017-5, Class X, IO (a) (c)
|
0.80
%
|
03/10/50
|
40,684
|
|
|
MCR Mortgage Trust
|
|
|
|
|
885,000
|
Series 2024-TWA, Class F (c)
|
10.38
%
|
06/12/39
|
889,755
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
|
259,184
|
Series 2016-C31, Class XA, IO (a)
|
1.16
%
|
11/15/49
|
3
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
2,180,000
|
Series 2016-UBS9, Class XD, IO (a) (c)
|
1.56
%
|
03/15/49
|
38,886
|
|
265,000
|
Series 2018-MP, Class A (a) (c)
|
4.28
%
|
07/11/40
|
249,849
|
|
|
MSWF Commercial Mortgage Trust
|
|
|
|
|
7,560,566
|
Series 2023-1, Class XA, IO (a)
|
0.86
%
|
05/15/56
|
335,808
|
|
|
NYO Commercial Mortgage Trust
|
|
|
|
|
380,000
|
Series 2021-1290, Class D, 1 Mo. CME Term SOFR + CSA +
2.55% (b) (c)
|
6.34
%
|
11/15/38
|
378,969
|
|
|
SFO Commercial Mortgage Trust
|
|
|
|
|
1,102,700
|
Series 2021-555, Class A, 1 Mo. CME Term SOFR + CSA +
1.15% (b) (c)
|
5.19
%
|
05/15/38
|
1,102,543
|
|
1,000,000
|
Series 2021-555, Class D, 1 Mo. CME Term SOFR + CSA +
2.40% (b) (c)
|
6.44
%
|
05/15/38
|
999,653
|
|
|
Velocity Commercial Capital Loan Trust 2026-3
|
|
|
|
|
997,162
|
Series 2026-3, Class M4 (c)
|
9.05
%
|
07/25/56
|
996,985
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
4,798,193
|
Series 2021-C60, Class XA, IO (a)
|
1.51
%
|
08/15/54
|
278,457
|
|
|
|
10,963,859
|
||
|
|
Total Mortgage-Backed Securities
|
32,742,449
|
||
|
|
(Cost $34,060,775)
|
|
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 32.4%
|
||||
|
|
Collateralized Mortgage Obligations – 17.0%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
$55,719
|
Series 2439, Class XI, IO, if 30 Day Average SOFR is less than
7.39%, then 6.50%, otherwise 0.00% (f)
|
6.50
%
|
03/15/32
|
$5,705
|
|
299,552
|
Series 2975, Class SJ, IO, (30 Day Average SOFR + CSA) x -1 +
6.65% (f)
|
2.91
%
|
05/15/35
|
23,383
|
|
10,087
|
Series 3451, Class SB, IO, (30 Day Average SOFR + CSA) x -1 +
6.03% (f)
|
2.29
%
|
05/15/38
|
635
|
|
135,434
|
Series 3471, Class SD, IO, (30 Day Average SOFR + CSA) x -1 +
6.08% (f)
|
2.34
%
|
12/15/36
|
10,087
|
|
857
|
Series 4021, Class IP, IO
|
3.00
%
|
03/15/27
|
5
|
|
20,447
|
Series 4057, Class YI, IO
|
3.00
%
|
06/15/27
|
164
|
|
32,966
|
Series 4082, Class PI, IO
|
3.00
%
|
06/15/27
|
238
|
|
112,139
|
Series 4206, Class IA, IO
|
3.00
%
|
03/15/33
|
4,882
|
|
834,096
|
Series 4959, Class JF, 30 Day Average SOFR + CSA + 0.45% (b)
|
4.18
%
|
03/25/50
|
820,698
|
|
907,979
|
Series 4990, Class AF, 30 Day Average SOFR + CSA +
0.40% (b)
|
4.13
%
|
07/25/50
|
890,421
|
|
806,828
|
Series 5004, Class FG, 30 Day Average SOFR + CSA +
0.40% (b)
|
4.13
%
|
08/25/50
|
789,250
|
|
2,049,505
|
Series 5179, Class GZ
|
2.00
%
|
01/25/52
|
1,156,183
|
|
550,654
|
Series 5350, Class PO, PO
|
(i)
|
11/25/53
|
448,778
|
|
|
Federal Home Loan Mortgage Corp. Structured Pass-Through
Certificates
|
|
|
|
|
42,498
|
Series T-56, Class APO, PO
|
(i)
|
05/25/43
|
41,551
|
|
|
Federal National Mortgage Association
|
|
|
|
|
5,135
|
Series 2002-80, Class IO, IO
|
6.00
%
|
09/25/32
|
136
|
|
25,086
|
Series 2003-15, Class MS, IO, (30 Day Average SOFR + CSA) x
-1 + 8.00% (f)
|
4.27
%
|
03/25/33
|
2,368
|
|
28,725
|
Series 2003-44, Class IU, IO
|
7.00
%
|
06/25/33
|
3,256
|
|
27,092
|
Series 2005-6, Class SE, IO, (30 Day Average SOFR + CSA) x -1
+ 6.70% (f)
|
2.97
%
|
02/25/35
|
1,715
|
|
16,446
|
Series 2007-100, Class SM, IO, (30 Day Average SOFR + CSA) x
-1 + 6.45% (f)
|
2.72
%
|
10/25/37
|
1,362
|
|
98,190
|
Series 2007-37, Class SB, IO, (30 Day Average SOFR + CSA) x
-1 + 6.75% (f)
|
3.02
%
|
05/25/37
|
9,972
|
|
294,177
|
Series 2008-17, Class BE
|
5.50
%
|
10/25/37
|
286,477
|
|
444,493
|
Series 2010-103, Class ID, IO
|
5.00
%
|
09/25/40
|
60,078
|
|
22,702
|
Series 2010-99, Class SG, (30 Day Average SOFR + CSA) x -5 +
25.00% (f)
|
6.27
%
|
09/25/40
|
21,845
|
|
972,770
|
Series 2012-125, Class MI, IO
|
3.50
%
|
11/25/42
|
123,949
|
|
16,897
|
Series 2013-132, Class SW, (30 Day Average SOFR + CSA) x
-2.67 + 10.67%, 0.00% Floor (f)
|
0.68
%
|
01/25/44
|
11,667
|
|
793,793
|
Series 2013-32, Class IG, IO
|
3.50
%
|
04/25/33
|
47,865
|
|
961,166
|
Series 2015-20, Class ES, IO, (30 Day Average SOFR + CSA) x
-1 + 6.15% (f)
|
2.42
%
|
04/25/45
|
94,364
|
|
168,142
|
Series 2016-74, Class LI, IO
|
3.50
%
|
09/25/46
|
36,354
|
|
1,729,349
|
Series 2017-109, Class SJ, IO, (30 Day Average SOFR + CSA) x
-1 + 6.20% (f)
|
2.47
%
|
01/25/48
|
161,917
|
|
235,078
|
Series 2020-47, Class FA, 30 Day Average SOFR + CSA +
0.40% (b)
|
4.13
%
|
07/25/50
|
230,602
|
|
854,254
|
Series 2022-69, Class FA, 30 Day Average SOFR + 0.82% (b)
|
4.44
%
|
10/25/52
|
844,223
|
|
856,188
|
Series 5435, Class BS, (30 Day Average SOFR) x -2 +
11.93% (f)
|
4.69
%
|
07/25/54
|
736,589
|
|
|
Federal National Mortgage Association, STRIPS
|
|
|
|
|
4,438
|
Series 305, Class 12, IO (h)
|
6.50
%
|
12/25/29
|
195
|
|
16,393
|
Series 355, Class 18, IO
|
7.50
%
|
11/25/33
|
1,545
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|
|
|
|
Federal National Mortgage Association, STRIPS (Continued)
|
|
|
|
|
$315,987
|
Series 406, Class 6, IO (h)
|
4.00
%
|
01/25/41
|
$46,783
|
|
|
Freddie Mac STACR REMIC Trust
|
|
|
|
|
1,000,000
|
Series 2025-DNA4, Class M2, 30 Day Average SOFR +
1.55% (b) (c)
|
5.17
%
|
10/25/45
|
1,006,589
|
|
|
Government National Mortgage Association
|
|
|
|
|
62,185
|
Series 2005-33, Class AY
|
5.50
%
|
04/16/35
|
62,079
|
|
88,424
|
Series 2007-68, Class PI, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.65% (f)
|
2.87
%
|
11/20/37
|
551
|
|
100,000
|
Series 2008-2, Class HB
|
5.50
%
|
01/16/38
|
97,464
|
|
75,828
|
Series 2008-73, Class SK, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.74% (f)
|
2.96
%
|
08/20/38
|
1,463
|
|
118,804
|
Series 2013-104, Class YS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.15% (f)
|
2.33
%
|
07/16/43
|
7,861
|
|
2,675,629
|
Series 2015-158, Class KS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.25% (f)
|
2.47
%
|
11/20/45
|
322,497
|
|
79,495
|
Series 2016-139, Class MZ
|
1.50
%
|
07/20/45
|
49,972
|
|
175,466
|
Series 2017-4, Class CZ
|
3.00
%
|
01/20/47
|
140,899
|
|
150,146
|
Series 2017-H18, Class DZ (h)
|
4.61
%
|
09/20/67
|
141,325
|
|
7,399,186
|
Series 2020-13, Class BT, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.20%, Capped at 0.50% (f)
|
0.50
%
|
11/20/45
|
159,423
|
|
|
|
8,905,365
|
||
|
|
Commercial Mortgage-Backed Securities – 11.7%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Structured
Pass-Through Certificates
|
|
|
|
|
14,500,000
|
Series K071, Class X3, IO (a)
|
2.01
%
|
11/25/45
|
348,254
|
|
12,589,940
|
Series K100, Class X3, IO (a)
|
1.87
%
|
11/25/47
|
659,120
|
|
4,000,000
|
Series K110, Class X3, IO (a)
|
3.37
%
|
06/25/48
|
436,002
|
|
4,326,216
|
Series K118, Class X3, IO (a)
|
2.69
%
|
10/25/48
|
401,955
|
|
1,900,000
|
Series K122, Class X3, IO (a)
|
2.63
%
|
01/25/49
|
179,157
|
|
3,343,856
|
Series K128, Class X3, IO (a)
|
2.78
%
|
04/25/31
|
357,647
|
|
1,831,144
|
Series K739, Class X3, IO (a)
|
2.80
%
|
11/25/48
|
40,860
|
|
2,454,000
|
Series K755, Class X3, IO (a)
|
5.65
%
|
02/25/31
|
526,357
|
|
1,663,400
|
Series K757, Class X3, IO (a)
|
5.55
%
|
10/25/61
|
384,848
|
|
4,571,896
|
Series KG06, Class X3, IO (a)
|
2.74
%
|
10/25/31
|
519,502
|
|
|
Federal National Mortgage Association, ACES
|
|
|
|
|
15,150,000
|
Series 2019-M29, Class X4, IO
|
0.70
%
|
03/25/29
|
196,102
|
|
|
Freddie Mac Multiclass Certificates
|
|
|
|
|
5,487,440
|
Series 2021-P011, Class X1, IO (a)
|
1.74
%
|
09/25/45
|
550,544
|
|
|
Government National Mortgage Association
|
|
|
|
|
3,489,082
|
Series 2021-31, Class IO, IO (a)
|
0.94
%
|
01/16/61
|
238,947
|
|
4,760,716
|
Series 2024-32, Class IO, IO (a)
|
0.70
%
|
06/16/63
|
246,229
|
|
4,975,650
|
Series 2024-47, Class AI, IO
|
0.75
%
|
06/16/64
|
256,886
|
|
3,488,778
|
Series 2025-21, Class IO, IO (a)
|
0.95
%
|
04/16/65
|
246,402
|
|
8,185,000
|
Series 2026-133, Class IO, IO (a)
|
0.83
%
|
04/01/65
|
511,866
|
|
|
|
6,100,678
|
||
|
|
Pass-through Securities – 3.7%
|
|
|
|
|
|
Fannie Mae or Freddie Mac
|
|
|
|
|
100,000
|
Pool TBA (j)
|
5.50
%
|
08/01/41
|
101,038
|
|
418,000
|
Pool TBA (j)
|
3.00
%
|
08/01/56
|
356,427
|
|
184,000
|
Pool TBA (j)
|
3.50
%
|
08/01/56
|
163,250
|
|
50,000
|
Pool TBA (j)
|
4.00
%
|
08/01/56
|
45,652
|
|
637,000
|
Pool TBA (j)
|
5.00
%
|
08/01/56
|
614,833
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Pass-through Securities (Continued)
|
|
|
|
|
|
Fannie Mae or Freddie Mac (Continued)
|
|
|
|
|
$300,000
|
Pool TBA (j)
|
5.50
%
|
08/01/56
|
$296,928
|
|
80,000
|
Pool TBA (j)
|
4.50
%
|
09/01/56
|
75,020
|
|
304,000
|
Pool TBA (j)
|
5.50
%
|
09/01/56
|
300,412
|
|
|
|
1,953,560
|
||
|
|
Total U.S. Government Agency Mortgage-Backed Securities
|
16,959,603
|
||
|
|
(Cost $18,800,567)
|
|
|
|
|
ASSET-BACKED SECURITIES – 6.7%
|
||||
|
|
Adams Outdoor Advertising LP
|
|
|
|
|
1,000,000
|
Series 2026-1, Class B (c)
|
6.39
%
|
07/20/56
|
998,827
|
|
|
CoreVest American Finance Trust
|
|
|
|
|
63,426
|
Series 2021-1, Class A (c)
|
1.57
%
|
04/15/53
|
62,373
|
|
4,500,716
|
Series 2021-3, Class XA, IO (a) (c)
|
2.33
%
|
10/15/54
|
25,155
|
|
|
Exeter Automobile Receivables Trust
|
|
|
|
|
750,000
|
Series 2024-1A, Class E (c)
|
7.89
%
|
08/15/31
|
774,084
|
|
|
Gracie Point International Funding LLC
|
|
|
|
|
500,000
|
Series 2025-1A, Class D, 30 Day Average SOFR + 4.50% (b) (c)
|
8.13
%
|
08/15/28
|
499,798
|
|
|
Island Finance Trust
|
|
|
|
|
500,000
|
Series 2025-1A, Class B (c)
|
7.95
%
|
03/19/35
|
503,335
|
|
500,000
|
Series 2025-1A, Class C (c)
|
10.00
%
|
03/19/35
|
502,804
|
|
|
Mid-State Capital Corp. Trust
|
|
|
|
|
1,299
|
Series 2005-1, Class A
|
5.75
%
|
01/15/40
|
1,297
|
|
|
PAGAYA AI Debt Grantor Trust
|
|
|
|
|
151,402
|
Series 2024-10, Class E (c)
|
10.41
%
|
06/15/32
|
152,633
|
|
|
Total Asset-Backed Securities
|
3,520,306
|
||
|
|
(Cost $3,444,713)
|
|
|
|
|
Shares
|
Description
|
Value
|
|
MONEY MARKET FUNDS – 2.9%
|
||
|
1,517,236
|
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional
Class - 3.54% (k)
|
1,517,236
|
|
|
(Cost $1,517,236)
|
|
|
|
Total Investments – 104.6%
|
54,739,594
|
||
|
|
(Cost $57,823,291)
|
|
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT – (0.7)%
|
||||
|
|
Pass-through Security – (0.7)%
|
|
|
|
|
|
Fannie Mae or Freddie Mac
|
|
|
|
|
$(400,000
)
|
Pool TBA
|
4.00
%
|
09/01/56
|
(364,916
)
|
|
|
Total Investments Sold Short – (0.7)%
|
(364,916
)
|
||
|
|
(Proceeds $371,840)
|
|
|
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS – (0.1)%
|
|||||
|
|
Call Options Written – (0.0)%
|
|
|
|
|
|
(2
)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
$(216,000
)
|
$115.00
|
08/21/26
|
(2
)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS (Continued)
|
|||||
|
|
Call Options Written (Continued)
|
|
|
|
|
|
(1
)
|
U.S. 5-Year Treasury Note Futures, expiring
December 2026
|
$(105,859
)
|
$108.25
|
11/20/26
|
$(156
)
|
|
(1
)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(107,844
)
|
118.00
|
11/20/26
|
(203
)
|
|
(1
)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(108,313
)
|
119.00
|
08/21/26
|
(16
)
|
|
(5
)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(541,565
)
|
121.00
|
08/21/26
|
(5
)
|
|
(1
)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(108,313
)
|
124.00
|
08/21/26
|
(1
)
|
|
|
Total Call Options Written
|
(383
)
|
|||
|
|
(Premiums received $9,370)
|
|
|
|
|
|
|
Put Options Written – (0.1)%
|
|
|
|
|
|
(1
)
|
U.S. 5-Year Treasury Note Futures, expiring
December 2026
|
(105,859
)
|
105.25
|
11/20/26
|
(633
)
|
|
(4
)
|
U.S. 5-Year Treasury Note Futures, expiring
December 2026
|
(423,436
)
|
105.50
|
11/20/26
|
(2,875
)
|
|
(1
)
|
U.S. 5-Year Treasury Note Futures, expiring
December 2026
|
(105,859
)
|
106.00
|
11/20/26
|
(937
)
|
|
(1
)
|
U.S. 5-Year Treasury Note Futures, expiring
December 2026
|
(105,859
)
|
106.25
|
11/20/26
|
(1,070
)
|
|
(3
)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(317,931
)
|
107.50
|
08/21/26
|
(4,641
)
|
|
(2
)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(211,954
)
|
107.75
|
08/21/26
|
(3,578
)
|
|
(1
)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(107,844
)
|
107.00
|
11/20/26
|
(2,203
)
|
|
(3
)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(323,532
)
|
108.00
|
11/20/26
|
(7,922
)
|
|
(4
)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(431,376
)
|
109.00
|
11/20/26
|
(12,500
)
|
|
(1
)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(107,844
)
|
110.00
|
11/20/26
|
(3,703
)
|
|
(1
)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(107,844
)
|
111.00
|
11/20/26
|
(4,328
)
|
|
(1
)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(108,313
)
|
109.00
|
08/21/26
|
(1,516
)
|
|
|
Total Put Options Written
|
(45,906
)
|
|||
|
|
(Premiums received $26,266)
|
|
|
|
|
|
|
Total Written Options
|
(46,289
)
|
|||
|
|
(Premiums received $35,636)
|
|
|
|
|
|
|
Net Other Assets and Liabilities – (3.8)%
|
(1,994,466
)
|
|
|
Net Assets – 100.0%
|
$52,333,922
|
|
Futures Contracts
|
Position
|
Number of
Contracts
|
Expiration
Date
|
Notional
Value
|
Unrealized
Appreciation
(Depreciation)/
Value
|
|
CME Ultra U.S. Treasury Bond Futures
|
Long
|
6
|
Sep 2026
|
$658,125
|
$(25,625)
|
|
U.S. Treasury 10-Year Note Futures
|
Long
|
32
|
Sep 2026
|
3,456,000
|
(46,528)
|
|
U.S. Treasury 2-Year Note Futures
|
Short
|
18
|
Sep 2026
|
(3,700,969
)
|
5,539
|
|
U.S. Treasury 5-Year Note Futures
|
Long
|
27
|
Sep 2026
|
2,861,367
|
(19,094)
|
|
U.S. Treasury Long-Term Bond Futures
|
Long
|
14
|
Sep 2026
|
1,516,375
|
(47,556)
|
|
Ultra 10-Year U.S. Treasury Note Futures
|
Long
|
62
|
Sep 2026
|
6,801,594
|
(136,156)
|
|
|
|
|
|
$11,592,492
|
$(269,420)
|
|
(a)
|
Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The
interest rate resets periodically.
|
|
(b)
|
Floating or variable rate security.
|
|
(c)
|
This security, sold within the terms of a private placement memorandum, is exempt
from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P., (the “Advisor”). Although market instability can result in
periods of increased overall market illiquidity, liquidity for each security is determined
based on security specific factors and
assumptions, which require subjective judgment. At July 31, 2026, securities noted
as such amounted to $34,782,209 or 66.5% of
net assets.
|
|
(d)
|
Step-up security. A security where the coupon increases or steps up at a predetermined
date. Interest rate shown reflects the rate in
effect at July 31, 2026.
|
|
(e)
|
This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Fund’s Board of
Trustees, and in accordance with the provisions of the Investment Company Act of 1940
and rules thereunder, as amended. At
July 31, 2026, securities noted as such are valued at $999,992 or 1.9% of net assets.
|
|
(f)
|
Inverse floating rate security.
|
|
(g)
|
This security, sold within the terms of a private placement memorandum, is exempt
from registration upon resale under
Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
(see Restricted Securities table).
|
|
(h)
|
Weighted Average Coupon security. Coupon is based on the blended interest rate of
the underlying holdings, which may have
different coupons. The coupon may change in any period.
|
|
(i)
|
Zero coupon security.
|
|
(j)
|
All or portion of this security is part of a mortgage dollar roll agreement.
|
|
(k)
|
Rate shown reflects yield as of July 31, 2026.
|
|
Abbreviations throughout the Portfolio of Investments:
|
|
|
ACES
|
– Alternative Credit Enhancement Securities
|
|
CME
|
– Chicago Mercantile Exchange
|
|
CSA
|
– Credit Spread Adjustment
|
|
IO
|
– Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
|
|
PO
|
– Principal-Only Security
|
|
REMIC
|
– Real Estate Mortgage Investment Conduit
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
STACR
|
– Structured Agency Credit Risk
|
|
STRIPS
|
– Separate Trading of Registered Interest and Principal of Securities
|
|
TBA
|
– To-Be-Announced Security
|
|
ASSETS TABLE
|
||||
|
|
Total
Value at
7/31/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Mortgage-Backed Securities
|
$32,742,449
|
$—
|
$32,742,449
|
$—
|
|
U.S. Government Agency Mortgage-Backed Securities
|
16,959,603
|
—
|
16,959,603
|
—
|
|
Asset-Backed Securities
|
3,520,306
|
—
|
3,520,306
|
—
|
|
Money Market Funds
|
1,517,236
|
1,517,236
|
—
|
—
|
|
Total Investments
|
54,739,594
|
1,517,236
|
53,222,358
|
—
|
|
Futures Contracts
|
5,539
|
5,539
|
—
|
—
|
|
Total
|
$54,745,133
|
$1,522,775
|
$53,222,358
|
$—
|
|
|
||||
|
LIABILITIES TABLE
|
||||
|
|
Total
Value at
7/31/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
U.S. Government Agency Mortgage-
Backed Securities Sold Short
|
$(364,916
)
|
$—
|
$(364,916
)
|
$—
|
|
Futures Contracts
|
(274,959
)
|
(274,959
)
|
—
|
—
|
|
Written Options
|
(46,289
)
|
(46,289
)
|
—
|
—
|
|
Total
|
$(686,164
)
|
$(321,248
)
|
$(364,916
)
|
$—
|
|
Security
|
Acquisition
Date
|
Principal
Value
|
Current Price
|
Carrying
Cost
|
Value
|
% of
Net
Assets
|
|
Credit Suisse Mortgage Trust, 7.62%, 01/09/25
|
03/10/22
|
$515,582
|
$10.50
|
$515,582
|
$54,136
|
0.10
%
|